The codes are for estimating

GARCH-MIDAS with fixed span RV and 
GARCH-MIDAS with rolling window RV.

The code for the GARCH-MIDAS with macro variables is similar to the GARCH-MIDAS with fixed span RV and hence is not included. The codes work quite stable with most of stock return data but might run into some problems with some macro data. In that case, try many reasonable starting values to ensure the global optimality.

Thanks for your interests in the GARCH-MIDAS model. 

Best,

Bumjean

P.S. The long time series data of stock returns and various macro variables that we used in the paper belong to Prof. William Schwert at University of Rochester, and we don't have the right to distribute the data on public domain. For these data, please contact Prof. William Schwert. 